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Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Reserving for Annuity Guarantees: Reference Paper for the Discussion

Published online by Cambridge University Press:  10 June 2011

A. D. Wilkie ,
H. R. Waters ,
S. Yang ,
M. J. Bolton ,
D. H. Carr ,
P. A. Collis ,
C. M. George ,
V. P. Knowles  and
A. J. Whitehouse
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Abstract

This report, which was sponsored by the Life Board of the Faculty and Institute of Actuaries, was originally published in November 1997.

Because it is referred to several times in the paper ‘Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options’, and in the discussions of the paper, and because it is not easily accessible elsewhere, it is printed here as a background paper for reference.

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 10 , Issue 1 , 01 April 2004 , pp. 101 - 130
Copyright
Copyright © Institute and Faculty of Actuaries 2004

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References

The text of this paper, together with the abstract of the discussion held by the Faculty of Actuaries on 20 January 2003, are printed in British Actuarial Journal, 9, II, 263-425.